How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2003	6.41***
α ARCH Response to squared shocks	0.2021	9.58***
β GARCH Volatility persistence	0.7950	39.05***

γ₁	-5.2551	-1.83*
γ₂	10.5785	1.72*
γ₃	-6.3663	-1.43
γ₄	-0.2838	-0.23
γ₅	1.8198	3.04***
γ₆	-0.5316	-1.63
γ₇	-0.0008	0.00
γ₈	-0.0310	-0.09
γ₉	0.3809	1.38
γ₁₀	-0.8093	-1.95*

V-Lab

Plastron Precision Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Plastron Precision Analyses